Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0922
Annualized Std Dev 0.2538
Annualized Sharpe (Rf=0%) 0.3631

Row

Daily Return Statistics

Close
Observations 3647.0000
NAs 1.0000
Minimum -0.1383
Quartile 1 -0.0065
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0080
Maximum 0.0973
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0160
Skewness -0.4485
Kurtosis 7.3816

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0110
Loss Deviation 0.0127
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.6304
Historical VaR (95%) -0.0241
Historical ES (95%) -0.0388
Modified VaR (95%) -0.0254
Modified ES (95%) -0.0499
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2010-04-15 -0.6304 694 416 278
2018-09-04 2020-03-23 2020-12-04 -0.4569 569 390 179
2011-05-02 2011-10-03 2013-01-02 -0.2975 421 108 313
2015-06-24 2016-02-11 2016-11-11 -0.2473 352 161 191
2010-04-26 2010-07-06 2010-12-03 -0.2258 156 50 106

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA -0.4 -1.4 -0.6 -1.1 -3.4
2007 0.8 0 -0.2 0.3 0.8 -0.7 0.1 1.6 2.1 -3.6 0.2 -0.5 0.8
2008 3.2 -2.6 3.4 1.8 0.2 -0.1 0.7 -1 2 3.7 -11.3 2.5 1.5
2009 -1.9 -0.8 2 1.7 4.9 2.2 0.5 -3.1 -3.9 -3.8 1.9 -0.6 -1.2
2010 1.1 2.4 0.8 -3.2 -3.5 -0.8 0 3.8 0.3 -0.6 2.1 -0.8 1.4
2011 2.3 -2.2 0.3 0.4 -2.9 1.5 -0.5 -2.2 -2.7 -3.9 -0.8 -0.5 -10.6
2012 2.1 0.5 -0.4 -0.3 -2.9 3.1 -0.8 0.5 0.3 1.6 -0.1 2 5.6
2013 1 0.4 -1.3 -2.1 -0.9 1.9 1.4 -1.6 0.9 -0.4 0.2 0.3 -0.4
2014 -0.8 0.1 1 -0.3 -0.3 1.2 -0.3 0.7 -1.4 1.6 -1.6 -0.8 -0.9
2015 -2 -0.2 0.1 0.5 0.2 0.2 0.2 -2.9 -0.3 -0.5 0.2 -0.8 -5.2
2016 -0.4 1.8 0 -0.7 0.5 0.8 -0.3 0 1 -1.1 -0.3 -0.5 0.7
2017 0 1.9 0.2 0.5 1.9 -0.1 0.3 0.7 0.3 -0.3 -0.5 -0.7 4.2
2018 0.3 -0.4 1.2 0.3 0.7 0 -0.2 0.3 -1 1.9 0.4 0.6 4.2
2019 0.1 0.6 1.4 -0.9 -1.3 0.4 -1.8 0 -1.7 1.6 -0.7 0.2 -2.2
2020 -2.3 -1 -6.2 -3.9 0.8 -1.2 -1.1 1.3 1.6 -1.5 1.2 0.2 -11.8
2021 2.6 3.5 0.7 NA NA NA NA NA NA NA NA NA 6.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld  ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>  <dbl>    <dbl>
1 2006-09-20  50.5 SPY    133.  0.0053   0.0022    0.0183   0.06     0.0857    0.278    0.300 GLD    57.3 0.006   -0.0232
2 2006-09-21  50.3 SPY    132. -0.00480 -0.0027    0.0134   0.0595   0.0906    0.286    0.336 GLD    58.0 0.0121   0.0133
3 2006-09-22  49.6 SPY    131. -0.003   -0.0037    0.0132   0.0565   0.0835    0.277    0.352 GLD    58.5 0.0095   0.0192
4 2006-09-25  50.2 SPY    132.  0.0077   0.0026    0.0218   0.0599   0.0909    0.310    0.316 GLD    58.5 0        0.0046
5 2006-09-26  50.3 SPY    134.  0.0083   0.0134    0.029    0.078    0.0987    0.332    0.313 GLD    58.7 0.0041   0.032 
6 2006-09-27  50.6 SPY    134.  0.00120  0.00930   0.0254   0.0721   0.100     0.338    0.319 GLD    59.8 0.0182   0.0445
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart